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Volatility models have been extensively used in risk modeling especially GARCH models under the normal distribution. Although they generate highly significant coefficient estimates, these models are known to have poor forecasting power. It is therefore interesting to develop a different approach...
Persistent link: https://www.econbiz.de/10010706145
of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector …
Persistent link: https://www.econbiz.de/10011108128
of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector …
Persistent link: https://www.econbiz.de/10011213044
of interaction that co-exist between monetary policy and share pricing in Nigeria. The study identified money supply and … like Nigeria. …
Persistent link: https://www.econbiz.de/10009397189
This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...
Persistent link: https://www.econbiz.de/10005504325
have benefited considerably from better macroeconomic policies, including lower inflation and lower debt. Therefore, a …
Persistent link: https://www.econbiz.de/10005536848
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables. Similarly,...
Persistent link: https://www.econbiz.de/10005536854
The authors describe a new view of cross-listing that links the impact on firm valuation to the firm's ability to develop an active secondary market for its shares in the U.S. markets. Contrary to previous research, cross-listing may not provide benefits for all firms, even when those firms meet...
Persistent link: https://www.econbiz.de/10005536892
Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the...
Persistent link: https://www.econbiz.de/10005543393
To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction stemming, from the lower correlation existing between assets of different countries. The question that we raise in this...
Persistent link: https://www.econbiz.de/10005478993